com.opengamma.strata.pricer.fxopt

Class FxOptionSensitivity

java.lang.Object

com.opengamma.strata.pricer.fxopt.FxOptionSensitivity

All Implemented Interfaces:

FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class FxOptionSensitivity
extends Object
implements PointSensitivity, PointSensitivityBuilder, org.joda.beans.ImmutableBean, Serializable

Point sensitivity to an implied volatility for a FX option model.

Holds the sensitivity to a specific volatility point.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	FxOptionSensitivity.Meta The meta-bean for FxOptionSensitivity.

Method Summary

Modifier and Type	Method and Description
MutablePointSensitivities	buildInto(MutablePointSensitivities combination)
FxOptionSensitivity	cloned()
int	compareKey(PointSensitivity other)
FxOptionSensitivity	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)
boolean	equals(Object obj)
Currency	getCurrency() Gets the currency of the sensitivity.
CurrencyPair	getCurrencyPair() Gets the currency pair for which the sensitivity is presented.
double	getExpiry() Gets the time to expiry of the option as a year fraction.
double	getForward() Gets the forward rate.
double	getSensitivity() Gets the value of the sensitivity.
double	getStrike() Gets the strike rate.
FxOptionVolatilitiesName	getVolatilitiesName() Gets the name of the volatilities.
int	hashCode()
FxOptionSensitivity	mapSensitivity(DoubleUnaryOperator operator)
static FxOptionSensitivity.Meta	meta() The meta-bean for FxOptionSensitivity.
FxOptionSensitivity.Meta	metaBean()
FxOptionSensitivity	multipliedBy(double factor)
FxOptionSensitivity	normalize()
static FxOptionSensitivity	of(FxOptionVolatilitiesName volatilitiesName, CurrencyPair currencyPair, double expiry, double strike, double forward, Currency sensitivityCurrency, double sensitivity) Obtains an instance, specifying sensitivity currency.
String	toString()
FxOptionSensitivity	withCurrency(Currency currency)
FxOptionSensitivity	withSensitivity(double sensitivity)

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.market.sensitivity.PointSensitivityBuilder

build, combinedWith, none, of, of

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static FxOptionSensitivity of(FxOptionVolatilitiesName volatilitiesName,
                                     CurrencyPair currencyPair,
                                     double expiry,
                                     double strike,
                                     double forward,
                                     Currency sensitivityCurrency,
                                     double sensitivity)

Obtains an instance, specifying sensitivity currency.

Parameters:

volatilitiesName - the name of the volatilities

currencyPair - the currency pair

expiry - the time to expiry of the option as a year fraction

strike - the strike rate

forward - the forward rate

sensitivityCurrency - the currency of the sensitivity

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

withCurrency

public FxOptionSensitivity withCurrency(Currency currency)

Specified by:

withCurrency in interface PointSensitivity

Specified by:

withCurrency in interface PointSensitivityBuilder

withSensitivity

public FxOptionSensitivity withSensitivity(double sensitivity)

Specified by:

withSensitivity in interface PointSensitivity

compareKey

public int compareKey(PointSensitivity other)

Specified by:

compareKey in interface PointSensitivity

convertedTo

public FxOptionSensitivity convertedTo(Currency resultCurrency,
                                       FxRateProvider rateProvider)

Specified by:

convertedTo in interface FxConvertible<PointSensitivity>

Specified by:

convertedTo in interface PointSensitivity

multipliedBy

public FxOptionSensitivity multipliedBy(double factor)

Specified by:

multipliedBy in interface PointSensitivityBuilder

mapSensitivity

public FxOptionSensitivity mapSensitivity(DoubleUnaryOperator operator)

Specified by:

mapSensitivity in interface PointSensitivityBuilder

normalize

public FxOptionSensitivity normalize()

Specified by:

normalize in interface PointSensitivityBuilder

buildInto

public MutablePointSensitivities buildInto(MutablePointSensitivities combination)

Specified by:

buildInto in interface PointSensitivityBuilder

cloned

public FxOptionSensitivity cloned()

Specified by:

cloned in interface PointSensitivityBuilder

meta

public static FxOptionSensitivity.Meta meta()

The meta-bean for FxOptionSensitivity.

Returns:

the meta-bean, not null

metaBean

public FxOptionSensitivity.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getVolatilitiesName

public FxOptionVolatilitiesName getVolatilitiesName()

Gets the name of the volatilities.

Returns:

the value of the property, not null

getCurrencyPair

public CurrencyPair getCurrencyPair()

Gets the currency pair for which the sensitivity is presented.

Returns:

the value of the property, not null

getExpiry

public double getExpiry()

Gets the time to expiry of the option as a year fraction.

Returns:

the value of the property, not null

getStrike

public double getStrike()

Gets the strike rate.

Returns:

the value of the property

getForward

public double getForward()

Gets the forward rate.

Returns:

the value of the property

getCurrency

public Currency getCurrency()

Gets the currency of the sensitivity.

Specified by:

getCurrency in interface PointSensitivity

Returns:

the value of the property, not null

getSensitivity

public double getSensitivity()

Gets the value of the sensitivity.

Specified by:

getSensitivity in interface PointSensitivity

Returns:

the value of the property

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object